Cheaphooker Meets the Qs

I originally mentioned the Cheaphooker system and it's evolution last year. Here's the version that profiles the Qs as part of my on-going this project to complete the Qs Dirty Dozen systems and update the Qs KOP. As mentioned in the original post this system is a bit unusual in that the prime entry signals are triggered by the day of week (1=Monday, 2=Tuesday, etc.). Also, a bit different from the bulk of my system exits, which are at the Close, these positions exit at the Market, which is the next day's open.

As with many of the systems I've profiled recently that have both a long and short side, the short side outperforms the long side. . .in this case significantly so. . .reflecting the negative trend of the market over the backtest period. Trading once a week, with almost equal long and short signals, the long side gains are actually acceptable from my risk/reward criteria, while the short side trades provide exceptionally well. A 17:1 consec win/loss ratio and minimal intraday drawdown are great odds for just selling Thursday's close.

The short term MA filter that triggers the sell strength/buy weakness signals enhances system performance considerably.

Qs Pivot Bands

This is some continuing work on the weekly QQQQ pivots that I began last Sept 2nd. A little thumbnail explanation of what I was trying to accomplish with these studies is shown here. If this is something that interests you, I'd advise rewinding back to my Sept 2nd post and reading some of the subsequent postings and weekly updates to the pivot file. Probably 75% of my daytrading gains are achieved using only the daily pivots, the NYAD, the parabolics and the 8/16 MA cross on 2 and 5 minute bars, so the pivots are really fundamental to my bottom line and I'm always looking for ways to squeeze a little more juice out of them.

The chart at the top is simply a line diagram of the weekly R4-S4 pivots from 7/3 until the present. The lower excel matrix is a continuing work in progress to configure some forecasting metrics based on the pivot dynamics. If you take the time to review the previous pivot related posts you'll notice the slope convergence/divergence posts as indicators of market momentum and those turned put to be modestly correct.

Above is a simple weekly bar line chart of the PP and R1-S1 progressive delta for the same time frame. The calculations are simply the result of dividing the previous week's PP (series 1) and R1-S1 delta (series 2) by the current values. mean values therefore =1, reflecting no change and no volatility. The indicator is currently (no surprise) oversold. This is clearly a work in progress but preliminary studies have encouraged me to pursue system applications yet to come.

Qs RSI(2) Zippy

With the Qs in seriously uber-bought territory as mentioned in the weekend update, I though it might be fun to employ a very simple (short only) RSI(2) reversal system to the Qs and test the results. Turns out simple works pretty good. . . a theme I've explored before in depth.

I call this system Zippy, named after my first cat and also reflecting the way the exit signals trigger. In this case I've used multiple exits, either a fixed bar (6) or a close less than the 5 bar moving average. The entries are premised on a long term declining market close (less than the MA 150) and an RSI(2) cross above 62.

Now these conditions don't reflect the current Qs scenario laid out this weekend or reflect the RSI(2) current 90+ readings. Battle weary traders know from experience that a high probability tactic for the Qs now is to wait until the RSI(2) crosses below the "magic number" 90 (or whatever you've predetermined as the target reversal threshold) before initiating shorts.
Nevertheless, patience is the watch word here, and when the Zippy setup does occur down the road, this is a great low risk approach to harvesting some gains.

The max consecutive losers is only 1 and the intraday drawdown is minimal, reflecting the type of risk control I prefer. Zippy will become one of the BZB Qs Dirty Dozen systems, to compliment the IWM Dirty Dozen. . .see right panel of blog for details.
The current rolling over of Zippy's equity curve may be an indication of a changing in momentum in the Qs as suggested by the 4 linear regression study this past weekend.
As usual, TS 2000i code for Zippy is shown below.

And. . .as has happened before with these systems, there's a little counter intuitive logic here.
The first question a quick glance at this code would typically generate is "what's with the RSI 62 number. That seems way too low". But you've got to keep in mind that we're selling weakness here, not strength. As the Qs in a downward trend try to recover, Zippy finds that a reading of RSI62 (isn't that a fib number?) provides a great tell for a failed rally.

The second question a quick glance at the code should generate is "what's with the exit signal that requires a close less than the Average. Shouldn't that read "more than?""
Nope, and the same answer applies. Most of the gain from this system derives from the 6 bar fixed exit, but we do pick up a few extra bucks and increase our trade probability considerably if we confirm the downward trend with this little condition.
And you thought trading was easy.

Weekly Update

Here's my ETF basket update using the new 4 linear regression study (75,30,11,M7) detailed last weekend.

The Qs have led the way up for the past 3 weeks and are now in overbought territory. As in the past, overbought and oversold conditions can continue for quite some time, so this situation alone should not be a trigger to bet against the Qs. A more mean regression oriented theme would be to expect the other sector ETFs to gain more ground proportionate to the Qs, before a reversal kicks in. The midpanel technicals in the IWM, XLF and XLE reinforce the probability of a bullish surge with short term targets of IWM-50, XLF-12 and XLE-51.

The current market strength has been widely attributed to the wonderful new (emerging) bail-out plan and may in fact be the catalyst for a market to kiss the channels good-bye to the upside. These moves would, of course, be driven by hope and hype, more so than actual fundamentals since that $800B or $1T has to come from somewhere, and mostly that's yours and my pockets, so there's a dark side to the coin, whose implications are seldom mentioned by the talking heads (sorry, got off a little tangent there).

Below, the VIX and T2100 (advance/decline line) with the VIX reflecting a neutral to bullish stance hugging the zero line while the daily T2100 is strongly bullish for the short term (next week). The weekly T2100 is at the upper band of the LR30, but the mean of the LR75, so it's some got the potential for a 5 point move up before becoming seriously overbought.

More QQQQ 3 Finger Setups

Here are the results for yesterday's Qs 3 finger reverse (short only) system using the same settings (54,16,12,10) but with pyramiding turned off. This change reduces the capital requirements considerably at the sacrifice of more than 50% of the net gain. Comparing yesterday's breakdown with this one, an alternate strategy would simply be to double your initial entry position size, which would yield comparable results to a pyramid approach.

Below, on the opposite side of the coin is the 3 finger lead (3FL)system, included in the BZB Dirty Dozen and reflecting long only trades. The test results of the system for the Qs are clearly less impressive than the 3 finger reverse, probably reflecting the overall downtrend of the market during the test period and the resultant lack of upside trade opportunities during this time frame. This suspicion is confirmed by the optimized 3FL backtest, which yields settings of (30,8,10,8). The look back period has been compressed from 54 days for the short side only 3 finger reverse trades to a 30 day look back in order to capture profitable trades.

Above is the test study with pyramiding turned off, below is the study with pyramiding turned on. Once again, an alternate risk management approach is simply to double initial entry position size to capture more gains in lieu of trading the pyramiding model which requires more capital.

Qs 3 Finger Reverse

Here's the newest addition to the updated Qs KOP, the 3 finger reverse (3FR) system component. . . and I really like the way this one turned out. See yesterday's post for the link to the original 3 finger reverse post, which includes the TS 2000i coding. The settings for the Qs (with pyramiding turned on) are (54,16,12,10).

As with previous 3 finger lead and 3 finger reverse system studies, the goal is to identify sector or ETF component leaders and then ride the momentum of the outliers to pick up the lag in momentum in the larger sector or ETF.
Based on the previously posted risk map of the Qs, we can see that the largest market cap components of the Qs are ORCL, CSCO, MSFT, INTC, GOOG and AAPL. Picking the more volatile of these stocks suggests AAPL and GOOG and I've included RIMM as the third outlier just because I know from tracking RIMM for a few years that it's a great tell for short term Qs moves (a little nonlinear logic there).
I'll no doubt test out other outliers but the results of this study, with only 1 consecutive loser is very low risk. The max intraday drawdown is also very low, so from a risk exposure viewpoint this is about as good as it gets.
As with previous new QsKOP studies, we only looked back to 9/07, which works out well in capturing the 11/07 swoon when we consider the 54 bar look back that characterizes this study.

The second mouse gets the cheese

This is a continuing study of my 3 finger reverse short only system (3FR), in this case using the IYT ishares Transports ETF (no 2x 0r 3x to my knowledge). Pyramiding is turned on, which results in multiple entries with a fixed bar cumulative exit based on the first entry. Turning on the pyramiding function also requires a considerably larger capital commitment that many traders may not be comfortable with. An obvious alternative tactic might be to just sell calls or buy puts since the average hold time is only 6 days. The bad news here is that the IYT options are very thinly traded and the spreads approach the comical at .15 to .35 for the ATMs. Turning off pyramiding results in only 8 trades for the same time period, with only 1 consecutive loser, a 75% success rate and approximately 1/2 the net gain with pyramiding. The basic system trades about every 6 weeks so lots of other opportunities to deploy your capital while waiting for the setups. Best used in conjunction with the 3 finger lead system (see BZB Dirty Dozen) for a full range of long & short setups.

Revised 3FR settings for the IYT are (50,16,10,6).

As with the earlier 3FR studies, the goal is to find sector (or ETF) leaders and use their price action to predict the reaction in a larger and slower ETF. The leaders (first mice) don't actually have to be components of the ETF (most often they are), but the trick is to find highly correlated but more volatile mice to lead the way into the trap and absorb the risk so that the probability path of the second mouse (diluted volatility ETF) is much higher and less prone to the uncertainty of surprise.

TS is not generating the correct net gains, which I'm trying to resolve. Clearly no one would trade this system for such marginal gains. The posted system gain/loss numbers need to be multiplied by 1000 (or 100) (or whatever the position size you choose) The results produced by this report present 1 contract (share). You can see the actual impressive gains that this system produced in the trade breakdown above.

Dollar / NYAD mean reversion

Here's a trade setup I'm exploring that looks similar to the GE/NYAD setup but, in this case we're looking at the dollar as reflected by the UUP, the Proshares double dollar bullish ETF. The big difference between GE and UUP is, of course, that the dollar typically trends opposite the major market indices, so a chart of the UUP looks a lot more like the VIX than it does the SPY.
In the above chart, the UUP is shown (colored candles) with the NYAD in the shadow candles.
The trading box in orange describes the divergence and reversion setup.
The lower chart annex is the true NYAD overlaid with the 8/16 MAs and a 5,20,3 MACD signal line and a classic 12,26,9 MACD histogram in the lower study panel.
Notice how the zero line crosses on the MACD histogram have provided solid confirmation of either the 8/16 MA crosses or the parabolic SAR signals.
The technique of using the MACD signal line in conjunction with the MACD histogram is something I've been fiddling with lately and in the process developed this pairing which produces fairly consistent results when used in conjunction with the NYAD. Whether this pairing can deliver similar results with other indicators and/or equities will be a subject for future post explorations.
As with the GE/NYAD trades, the UUP/NYAD trades involve a lot of waiting around. On trending days no trades typically develop, while on volatile range days, 2-4 setup opportunities may present. This type of trade can test the resolve of the more hyper traders, but, as usual you have to let the trades come to you and avoid the perils of seeing a setup (and trading) when no setup and no trading edge exists.

XLE closeup

This is a closer look at the XLE Spyder energy sector ETF, one of my 4 ETF basket that I regularly trade. The interesting thing about the chart configuration of the XLE is the flat profile of the LR75 channel(blue), with the mean yielding a clear reversion target of 47.
In December we put on the Jan 47 butterfly with great results, and we are currently in the Feb 47 butterfly, having entered on Jan 21st as the XLE touched 47. The great things about the XLE (depending on your viewpoint) are the highly liquid options and the penny spreads, although the spreads open up a bit as the strikes move away from the ATMs.For those who prefer to just trade the ETF and not play the premium decay game, the XLE triple, ERX, generates more bang for the buck (assuming you're right), as evidenced by this little backtest of the past 500 bars using a simple long/short RSI system on the ERX and XLE on 5, 10, 60 minute and daily bars (ERX has only been up since 11/6/08, so there's not really 500 days of data). Options on the ERX are thin and the spreads are humongous, so don't even think about it.

Finally, an impressive piece of work from Market Rewind providing a neat little snapshot of ETF performance metrics for a variety of time periods. Thanks Jeff.

Weekly Update - new template

First of all, here's a new thumbnail look at my little 4 ETF basket using line charts of the ETFs and the VIX and overlaid with the new Telechart moving linear regression (7) study (described below). This is a little visual lesson in mean regression theory and is designed to help forecast when the ETF/VIX divergence is about to mean revert.

For this week's secondary study (below) I've returned to the VIX daily and weekly bars and the T2100 advance/decline line daily and weekly bars.
While Don Worden's comment at Friday's close was in support of an oversold environment, the technical studies presented in these 3 charts suggest a grimmer prognosis as all technicals are essentially downtrend at the zero line.

The big change this week is a reconfiguration of the 3LRs study (3 linear regressions) to a new 4LRs study. Previously, I was using periods of 30,11 and 3 to define the LR channels. I've now revised the LR periods to 75,30,11. I've added the LR75 to help better detect potential butterfly candidates, a strategy which has worked out well so far. Telechart has also added a moving average linear regression (MLR) study to their inventory of indicators and after playing with various settings, I've settled on a MLR7 to replace the LR3, which was the least useful LR of the study (IMHO) in forecasting momentum and direction. Note how the MALR7 mirrors the cycle of the RSI2 and stochastics 10,2,2 in the middle technical pane of the charts. I've also reconfigured the MACD 5,20,3 indicator to display as a histogram for a somewhat clearer view of momentum and zero line reversals.

Finally, here's an interesting site using a sophisticated algorithm to time the markets. They provide a free weekly forecast of the SPY low. . .you've got to spend some money if you want the rest of the stats. They've been pretty right on for the past month, although this week's forecast was not a rousing success (HEY!, everybody misses a few). Good for confirmations of market turn ups, put sales and potential short term longs.

Qs Inside Days

Here's another addition to the new KOP Qs using the inside day system I profiled earlier this month. Not a lot of trades, about 1 every 3 weeks, but the results are pretty impressive, with marginal drawdown. Refer to the original inside day post for system concept details and open code posted as Comment #1. Keep in mind our test period is only 9/07 to present.

TS2000i code is below:

Qs 7&7 system

This is part of my continuing upgrading to the BZB Dirty Dozen systems that I mentioned earlier in the week. I've decided for now to focus on improving the Qs' systems, as the IWM based systems are chugging along just fine with their original default settings. The Qs, of course, are a bit more problematic that the IWM, due to volatility, only 100 stocks in lieu of the IWM's 2000 and a number of other issues. After years of trading both these ETFs, the IWM is the much easier road to hoe for systems traders, but HEY!, I'm a glutton for punishment, so like Curious George, I'm digging in.

This particular study was inspired by a simple system developed by Larry Connors known as the Double 7s. Rules are to buy the SPY if the close is a 7 day low, and then exit the position when SPY gets to a 7 day high. Needless to say the results of this system with the Qs are pretty awful. That's because the Qs have a totally different support/resistance cycle and reflect different trader biases.
So, I've tweaked the original concept a bit and used fixed bar exits to help define the Qs cycle.
these adjustments yield a fairly reliable trading model.
The system only trades 71 times, about once a week, with an equal number of long and short trades. Drawdown is kept fairly well in check (no stops). The only thing I don't like is the max consecutive losers on the short side. 4 is pushing my comfort level, as I prefer to see a number of 2 or less.
Nevertheless, keep in mind the intent of these single system studies is to build a more robust Kit of Parts of non-correlated systems that will yield high probability EOD (at close) signals

Now I need to back up a bit and mention that for the new KOP Qs (Son of KOP Qs) I'm only going to use the backtest period of 9/14/08 to the present. That's because there's obviously been a shift in market momentum during that period and I want the systems in this version of the KOP Qs to fully reflect that. While the market dump didn't really begin until 11/08, going back to 9/14 let's me use a 50 day MA lookback without cutting into my target 11/1 start date.
TS2000i code shown below:

Inputs: Len1(9), Len2(3), Len3(5), Len4(10);
If Close = LowestFC(Close, Len1)
Then BUY This Bar at Close;
If BarsSinceEntry= Len3
Then ExitLong This Bar at Close;
If Close = HighestFC(Close, Len2)
Then SELL This Bar at Close;
If BarsSinceEntry= Len4
Then ExitShort This Bar at Close;

Risk Map

Here's a free risk map of the NAZ100 via NASDAQ. I find this little tool useful for setting up leaders and laggers for my 3 finger lead and 3 finger reverse systems. Also helpful in creating correlated pair trades, using either one leg or both.

NYAD and the TICK

One of my readers asked about the relationship of the NYAD, TICK and TRIN per a post back in July 07. This post addresses one way I use the TICK as a confirmation for the NYAD. . .which, of course, is one of my prime directives for both trending and trading range market triggers and the primary component of the GE/NYAD divergence trades.
As with last week's post, these charts reflect 10 minute bars over 8 days. The first thing you notice here is that I'm much more concerned with the action of the TICK indicators (MA 12 & 24) than I am with the actual TICK chart. I've found that although the NYAD produced the best trigger signals using an 8 & 16 MA, the TICK is a bit more votatile and has a greater ATR, so I have to slow down the MAs a bit . . . yielding the 12 & 24 MAs as a better choice for viewing reversals, although the MAs still reflect a shaky character in contrast to the NYAD.
Note that the TICK generates a few false signals, both up and down, while the NYAD produces a clearer picture of what's about to come down the pipe. . . which is why if I were to prioritize these two, the NYAD would always come out on top.
For me, the TICK's primary function is as a confirmation of the NYAD trigger signals.
For another viewpoint: Dr. Brett uses a volatility and volume weighted TICK to drive many of his trades. Pop over to his site and type in TICK in the "Blog -Search" bar and delve in to see how he does it. Although his algorithm is proprietary and is used in correlation with the fee based Market Delta program, it's worth a close look.

RSI(2) SAR

I'm embarking on a streamlining and update of the BZB Dirty Dozen systems. In the process I intend to get back to the focus of my months long exploration (begun May 2008) of using a basket of non-correlated systems (KOP) with a small baskets of ETFs in order to generate a high probability, low exposure revenue stream.
Today's post is one step in that direction. In this case SAR stands for Support And Resistance, not stop and reverse. Basically, I'm looking for tells when the RSI2 is about to roll over to the upside or the downside. I've found that a 2 day lookback yields the most consistent results. . . further back than that cuts into the equity curve considerably.

Those first drawdowns, putting the equity curve in negative territory are essentially all short trades, which bears a closer look as I merge this code into the new KOP. The problem there is that the fixed exit is set at 10, which caused early 3-4 day short gains to become losses as the market rallied. Adding a trailing stop should help fix that problem and will, of course, be a component of the new Son of KOP.

What the fixed bar Exits does reveal is a fairly consistent timing cycle "fingerprint" of each ETF (when other ETFs are tested and optimized).

As with many of the other RSI2 systems I've tested over the past year, 20 and 80 continue to perform as consistent S & R levels for the IWM.

TS2000i code is below and open code is posted as comment #1.

Weekly Update

The 3 LRs study (linear regression channels,30,11,3) shows that this week's action was mostly a consolidation of momentum and volume. The XLFs continue to display weakness relative to the rest of my little basket. Down $.99 for the week and hitting an intraweek low of $ 8.07 on increasing volume, the XLF is currently showing bearish technicals on both daily and weekly bars.

Above is the update of the daily and weekly bars for the VIX and a peek at the daily T2108 (% of stocks > 40MA) on daily and weekly bars. As with last week, there is a distinct divergence of trend in both the daily and weekly bars of the VIX and T2108. The VIX continues to hover in the high 40s with forays into the 50s intraday. Earnings continue to drive market surges, with a net neutral outcome for the week on the major indices.

Prognosis? A solid break , but whether it will be to the upside or downside remains to be seen.

When Probability Becomes Uncertainty

One of the main dichotomies in Peter Bernstein's study of risk profiled on Monday is the difference between probability and uncertainty.
If I toss a coin in the air and let it land on the table, over a period of time (law of large numbers) I would expect a high probability of a 50/50 distribution of heads and tails (mean reversion). I can calculate these probabilities using a variety of algorithms because I'm "certain" that gravity will operate and the coin will actually land in one of 2 alignments.
What if I tossed the coin and it didn't come down, but instead continued out into the cosmos?That would be a huge surprise and mess up my probability calculations, and if I were a betting man, and had I placed a wager on the outcome of the coin toss, I'll be more than a bit befuddled. That was an outcome that was completely off the chart, unexpected and unprepared for. Or what if the coin simply landed on its edge 50 % of the tosses and stood erect? That would also be a big surprise, one that I really hadn't anticipated and would lead me to be very uncertain about future coin tosses.

Within the context of the financial markets there is a constant flux between trading markets and trending markets and between mean reversion and random walk patterns where volatility serves as one measure of implied risk. JP Morgan is frequently cited for his explanation of stock market prices: "It will fluctuate". Yes, we expect prices to go up and down, we do not expect them to go to zero, we do not expect $50B ponzi schemes to wipe out net worth of hundreds of individuals and companies , we do not expect a highly respected lawyer and investor to issue $100M in counterfeit promissory notes, we do not expect (previously) low beta banks like WAMU to literally implode and disappear from existence. We do not expect Lehman Brothers to become insolvent and be delisted. And, perhaps most frustrating, nothing happens to these guys. Nobody goes to jail. The execs just say "our risk management models failed . . . so sorry." And then Congress just doles out more dollars.
Along the path of carnage that has ensued for the past 14 months many probabilities that were previously quantified with risk management tools have become utter uncertainties, as reflected in the the current level of volatility in the VIX and other tells as well as the pervasive mood of despair and helplessness. The number of "zombie" companies, both overt and covert, has increased dramatically and this does not bode well for the markets. As traders (and investors) we would like to maximize the probability of profitable outcomes and reduce the level of uncertainty. Today's market climate makes these goals problematic and there are few indications that the worst is over.

A couple of years ago, when Nouriel Roubini predicted that U.S. financial-system losses would total $1 trillion, everyone thought he was insane. He has since revised his estimate. Now he's looking at an even grimmer forecast.

Bloomberg: U.S. financial losses from the credit crisis may reach $3.6 trillion, suggesting the banking system is “effectively insolvent,” said New York University Professor Nouriel Roubini, who predicted last year’s economic crisis.“I’ve found that credit losses could peak at a level of $3.6 trillion for U.S. institutions, half of them by banks and broker dealers,” Roubini said at a conference in Dubai today. “If that’s true, it means the U.S. banking system is effectively insolvent because it starts with a capital of $1.4 trillion. This is a systemic banking crisis.”.

Now, Roubini's just one guy, although I personally I like the way he thinks and suspect he may be on to something. My own feeling is that there an utter lack of oversight and accountability on the part of the Congress doling out taxpayer dollars to "troubled" financial institutions, car makers, home builders, etc, etc, etc. and the companies themselves, who somehow manage to continually reward upper management at the price of the guys who actually do the work. I didn't know whether to laugh or cry when I heard Barney Frank of the Senate Banking Committee say "Well, we expected them (the banks) to do the right thing" when asked why there were no controls on the money doled out and when the banks just sat on the money rather than loaning it out, as had been "intended".
Whether Obama will be able to have any positive and productive impact remains to be seen. I'm not sure HOPE is the right message as it seems pretty vague, has a built-in failure excuse and, well, is not really a plan. Having survived 8 years of the previous "faith-based" administration of robber barons, I'm more inclined to favor something like "let's clean house, create an empowered SEC and Justice department with some teeth that will actually do something, develop some performance metrics and get some accountability from those we choose to help survive". But that's just my naive' stance and unlikely to ever become a working policy.
In the meantime, gird your loins and bide your time. . .things could get nasty.

10 minute NYAD

Those of you who've followed me for a while know I rely heavily on the NYAD (NYSE advance/decline line) for trigger confirmation. In a dynamic arena of constant head fakes, maker maker games and iceberg orders, the NYAD is a fairly transparent peekhole into the pulse of the market. Like the TICK, which often requires a volume component to validate the signal, the relative strength of the NYAD signal (for lack of a better term) can be enhanced by observing a market volume component, a concept which I'll explore further later this week.
For today's study I've just posted 8 days of the NYAD on 10 minute bars, with an overlay of my usual 8 & 16 SMAs (white, yellow lines) and a 3,14,3 signal line (blue) (which is the MA. component of the MACD).
Green arrows reflect bullish 8/16 crosses, white arrows reflect bearish 8/16 crosses. Unfortunately, due to the scale of the chart and the fact that some days the NYAD has hovered all day in the teens or low teens (low ATR), the visibility of the crosses is a bit constrained, so you really need to blow up the chart to see the crosses clearly. Nevertheless, this very simple indicator provides solid results when used in conjunction with the major indices or a basket of ETFs, such as my Qs,IWM,XLE,XLB mini basket.
This is not necessarily recommended as a stand alone system, but I constantly use it to provide confirmation for my trigger signals using the parabolics and the 8/16 crosses in smaller time frames such as the 2 and 5 minute bars and perhaps more importantly . . . to help me avoid premature exits, sometimes called ED (exit dysfunction) which are otherwise a costly annoyance.

ETF and Pre-open Heatmaps

Yesterday's close of the top 100 ETFs. Green is up, red is down.

Here's a nifty little heatmap, compliments of NASDAQ. Updates every minute. 3 heatmaps are provided as defaults: ETF 100, Qs components pre-open and Qs components real-time. You can also create your own custom heatmap. If you've got multiple screens and daytrade the hot sectors, this is a quick visual tools that will show the real time change in RS as the cells realign themselves and change color reflecting market position. The default portfolio does not include the double/triple ETFs or their inverses, which is why the custom heatmaps are a nice feature.

Sell 2 Consecutive Higher Highs

Here's an update of the High Count Reverse system, a short side only system that sells 2 consecutive higher closes. I've used the same start date of the backtest for comparison purposes. The system continues to perform very well, no doubt reflecting the continued downward bias of the market.

Keep in mind that pyramiding is turned on, so the system generates multiple entries but exits on the ninth bar following the original entry. Drawdown remains impressively small.

The system is currently flat.
TS2000i code is included in the original post.

Finally, to celebrate today's festivities, you can add this to your playlist and, well, just do it.

http://www.youtube.com/watch?v=ZclddLcOYYA&feature=related